PRODOTTO NON ANCORA VALIDATO
Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo
Utilizza questo identificativo per citare o creare un link a questo documento:
|Titolo:||Time to Wait–Time to Invest: The Case of Trade Order Executions by Specialists on the NYSE|
|Data di pubblicazione:||2012|
|Autori interni:||BAR-YOSEF, SASSON|
|Autori:||S. Bar-Yosef; A. Prencipe|
|Titolo del libro:||Bridging the GAAP: Recent Advances in Finance and Accounting|
|Tutti i curatori:||I. Venezia and Z. Wiener|
|Abstract:||This paper provides an empirical test of the “waiting-to-invest” strategy. It shows that waiting is used to reduce the decision makers’ risk exposure. The empirical tests use a unique set of data on New York Stock Exchange (NYSE) specialists’ trades. We show that specialists use the waiting-to-invest strategy to mitigate potential information disadvantage and that such a strategy is correlated with other decisions (such as investing in security and revising quotes). We test our hypotheses under three information and trading environments: (1) when loss probability is low; (2) when loss probability is high; and (3) when the decision maker is able to use an additional risk-mitigating tool (i.e., to change the bid–offer spread). Our results show that waiting-to-invest is significant and is derived by the intensity of information and by the surprise factor of the order. We also show that waiting-to-invest is correlated with other decisions: the specialists’ investment rate (i.e., adjustments in the security inventory levels) and the bid–offer spread. Additionally, our findings indicate that the specialist waits longer when there is a significant increase in the probability of a loss to better-informed traders. Finally, we find that waiting time is shortened when the specialist is able to apply an additional risk-mitigating device.|
|Appare nelle tipologie:||20 - Contributo in volume Capitolo o Saggio Scientifico|
File in questo prodotto:
Non ci sono file associati a questo prodotto.
- PubMed Central loading...
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.